Unless you are running the latest DSL release, first have your pendrive plugged in when you boot up DSL.

First thing, use the mount tool, the little squre in the lower righ hand corner, click on fd0 area, grey area, click on cdrom, keep clicking there until you see sda1. sda1 is typically your pendrive, click the red, unmounted area, should turn green. Click on grey area again, until you see your hard drive partition. Windows typically installs into first partition, your likely will be hda1, click the red unmounted, area. It should trun green to indicate it is mounted.

On desktop Emelfm Icon, this is the file manager, right click and select "Emelfm as Super User".This should open with two panels showing.

On the left side, click on bookmarks, and select /mntThen on the list presented, find and double click on the partition name that matched that which you mounted, hda1

You should see the files on that mounted device partition.

On the right panel, do the same, click bookmarks, select /mntDouble click on sda1. You should see the files on the pendrive.

If you make it here you are read to copy.

Navigate to file(s) on the left pane and highlite, ie, single click.Then click on the Copy button in the middle area. The file will be copied to the pendrive.

Repeat copying files as required.

When you are done...

Be sure to use that mount tool and click the green area, mounted, to make it turn red, unmounted before you remove the device. Or if you want just shutdown the system and then you are you can safely remove the device.

Take your pendrive to another computer and verify that you indeed have copied your files.